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Annual International Conference on Real Options: Theory Meets Practice

11th Annual International Conference
June 6-9, 2007

Berkeley , CA, USA

Abstracts and Links to Papers

Thursday | Friday | Saturday

   We post updated versions of papers as they are sent to us and change the file name to be the same as the older version. For corrections to the MS Word version of the program: Please email to Lenos Trigeorgis.  



8:00 – 8:25  Registration

8:30 – 8:45  Welcome


8:45 – 9:20  President’s Address

L. Trigeorgis (U. Cyprus, U.C. Berkeley & President, Real Options Group)
On Growth Stock Returns

9:30 – 10:45  Venture Capitalists and Entrepreneurs
Chairperson: N. Kulatilaka (Boston U.)

G. Siller-Pagaza and G. Otalora (ITESM, Mexico), Moral Hazard When the Entrepreneur Seeks Outside Capital


N. Kulatilaka (Boston U.), L. Lin (Boston U.), and J. Patel (ChoiceStream), Post-IPO Governance: Venture Capitalists’ Role in Strategic Decisions


Y. Giat (Jerusalem College of Technology, Israel), S. Hackman (Georgia Institute of Technology), and A. Subramanian (Georgia State University), Risk, Uncertainty and Optimism in Venture Capital Relationships

10:45 – 11:10  Morning Coffee Break

11:10 – 11:45  Special Session I: Growth Stock Valuation
Chairperson: M. Amram (Milken Institute)

L. Martin (Soleil/Media Metrics), How Much is Google Worth?

L. Trigeorgis (ROG), How Much is Starbucks Worth?

N. Kulatilaka (Boston U.), How Much is Clean Energy Worth?

11:45 – 12:30 Panel Discussion I: Growth Stock Valuation

Moderator: M. Amram (Milken Institute)



Nalin Kulatilaka (Boston U.)

Laura Martin (Soleil/Media Metrics)

Lenos Trigeorgis (ROG)

12:30 – 2:00  Luncheon

2:00 – 3:15  Investment and Financing Interactions

Chairperson: T.E. Copeland (MIT)


T.E. Copeland (MIT), Optimal Investment and Financial Structure: The Firm as a Three-Layer Cake


M. Shackleton, R. Wojakowski and G. Pawlina (Lancaster U., UK), Valuing a Firm's Capital Structure using Profit Caps, Floors and Bond Default Options


R. Correia, S. Howell, and P. Duck (U. Manchester, UK), Agency Conflicts and Optimal Leverage in Fixed-Life Projects

3:15 – 3:45  Afternoon Coffee Break

3:45 – 4:15  Special Session II: Supply Chain Management

Address by Blake Johnson (Stanford U.)

Creating Competitive Advantage by Aligning and Leveraging "Operating" Options

along the Value Chain


4:15 5:00 Panel Discussion II: Capitalizing on a Huge Value Opportunity: Implementation Strategies for Supply Chain Management

Moderator: B. Johnson (Stanford U.)



Eunice Lee (Apple Inc.)

Venu Nagali (Hewlett Packard)

Scott Mathews (The Boeing Company)

David Metcalf (Intel)

Thomas Olvason (Hewlett Packard)


5:15 – 6:00  Panel Discussion III

Corporate Flexibility, Strategic Interactions and Restructurings:

Interactions Between Real and Financial Options

Moderator: M. R. Julis (Managing Partner, Canyon Capital Advisors)


Panelists Include:

Martha Amram (Milken Institute)

Vladimir Antikarov (Real Options Group)

Tom E. Copeland (MIT)

Gill Eapen (Decision Options LLC)


6:15 – 7:15  Networking Reception

Sponsored by ROG and MFE/Haas School of Business, UC Berkeley



8:30 – 9:00  Registration


9:00 – 10:15

I. Empirical Evidence

Chairperson: D. Friedman (U. California, Santa Cruz)

R. Oprea, D. Friedman (U. California, Santa Cruz), and S. Anderson (U.S. Geological Survey),
A Laboratory Investigation of Deferral Options

C. Ramezani (California Polytechnic U.) and L. Soenen (Tias, Netherlands), Growth Options and Corporate Excess Cash Holdings


G. Dikos (U. Patras) and D. Thomakos (U. Peloponnese, Greece), Empirical Specification and Estimation of the Real Options Markup: The Case of Tanker Markets


II. Valuing Oil Investments

Chairperson: J. Casassus (U. Catolica de Chile and U. California at Berkeley)


F. Magalhães Jr (IBMEC), R.M. da Silva Montezano (IBMEC) and L.E. Teixeira Brandao (PUC-Rio, Brazil), Valuation of Onshore Mature Oil Fields: The New Bidding Rounds in Brazil


F. Postali (U. Sao Paulo, Brazil), Fiscal System and the Decision to Invest in Oil and Gas Reserves in Brazil


F. Aldunate (U. Catolica de Chile), J. Casassus (U. Catolica de Chile and U. California at Berkeley) and P. Collin-Dufresne (U. California at Berkeley), Oil Risk Hedging and Consumption in Emerging Economies

10:15 – 10:45 Morning Coffee Break

10:45 – 12:00

I. Control and Policy Issues

Chairperson: P. Baecker (European Business School, Germany)


M. Kałdoński and J. Mizerka (Poznan U. of Economics, Poland), Politicians and Private Benefits of Control


V. Vath (U. Paris), H. Pham (U. Paris), and S. Villeneuve (U. Toulouse, France), Interaction of Dividend Policy with Reversible Technology Investment: A Mixed Singular/Switching Control Approach


P. Baecker, G. Grass, and U. Hommel (European Business School, Germany), Regulatory Intervention and Access Pricing under Uncertainty


II. Electricity and Energy Investment

Chairperson: A. Siddiqui (University College London, UK)


R. Takashima, Y. Naito, H. Kimura, and H. Madarame (U. Tokyo, Japan), Investment in Electricity Markets: Equilibrium Price and Supply Function


A. Siddiqui (University College London, UK) and K. Maribu (Ecole Nationale Superieure des Mines de Paris, France), Investment and Upgrade in Distributed Generation under Uncertainty


M. Bellalah, K. Moez, and B. Firas (U. Cergy-Pontoise),
Optimal Exploration Investments under Price and Geological Uncertainty with Incomplete Information

12:00 – 2:00  Luncheon Keynote Address by Mark Rubinstein (UC Berkeley)


2:00 – 3:15

I. Environmental Policy and Risk Management

Chairperson: M. Shackleton (Lancaster U., UK)


L. Abadie (BBK, Spain) and J. Chamorro (U. Basque Country), CO2 Emission Allowance Prices and Carbon Capture Investments


G. Dikos (U. Patras, Greece) and S. Sgourides (MIT), Environmental Policy and Regulation in the Maritime Industry: The Effects of Sunk Costs and Uncertainty


M.J. De Zen and F. Frezatti (U. of Sao Paulo, Brazil), Analysis of the Added Value by Risk Management


II. Investment Games

Chairperson: D. Ruffino (Boston U.)


M. Goto (Waseda U.), R. Takashima (U. Tokyo), M. Tsujimura (Ryukoku U.), and T. Ohno (Waseda U., Japan), Entry and Exit Decisions in a Duopoly under Uncertainty


J. Imai (Tohoku U., Japan) and T. Watanabe (Tokyo Metropolitan University), The Investment Game under Uncertainty: An Analysis of Equilibrium Values in the Presence of First or Second Mover Advantage


D. Ruffino and J. Treussard (Boston U.), Lumps and Clusters in Duopolistic Investment Games

3:15 – 3:45  Afternoon Coffee Break

3:45 – 5:00

I. Transport Valuation and Policy

Chairperson: L. Brandao (PUC-Rio)


L. Salahaldin (U. Paris Dauphine, France), Decision-making in Sustainable Transport Investment


P. Pimentel (U. Azores), J Azevedo-Pereira (U. Tecnica de Lisboa), and G. Couto (U. Azores, Portugal), High-Speed Rail Transport Valuation


L. Brandao (PUC-Rio) and E. Saraiva (EPGE and National Bank for Economic and Social Development, Brazil), Valuing Government Guarantees in Toll Road Projects


II. Strategy Games

Chairperson: E. Dockner (U. Vienna, Austria)


M. Carson (U. British Columbia, Canada), E. Dockner (U. Vienna, Austria), A. Fisher and R. Giammarino (U. British Columbia, Canada), Leaders, Followers, and Risk Dynamics in Industry Equilibrium


A. Azevedo and D. Paxson (Manchester Business School, UK), The Effect of Market, Technical and Technological Uncertainties on New Technology Adoptions


M. Trojanowska (U. Antwerp, Belgium) and P. Kort (Tilburg U., Netherlands), Coalition Formation under Uncertainty: the Case of First-mover Disadvantage




9:00 – 10:15

I. Innovation Theory

Chairperson: H. Roche (ITAM, Mexico)

N. Koussis, S. Martzoukos, and L. Trigeorgis (U. Cyprus), Product Development with Value-Enhancing Options

H. Roche (Instituto Technologico Autonomo de Mexico), Technology Adoption under Uncertain Technological Progress

S. Hoe and J.D. Diltz (U. Texas at Arlington), Real Options, Competition, and the Valuation of Pharmaceutical Licensing Agreements


II. Relocation, Renovation, Growth and Investment

Chairperson: D. Paxson (U. Manchester, UK)


J. Azevedo-Pereira (Instituto Superior de Economia), G. Couto (U. Azores), and C. Nunes (Instituto Superior Tecnico, Portugal), Optimal Timing of Relocation


R. Adkins (U. Salford) and D. Paxson (U. Manchester, UK), Generalized Real Renovation Options


J.P. Dapena (U. del CEMA, Argentina), Investment and Abandonment Decisions in Presence of Imperfect Aggregation of Information


H. Brasil (FDL and IBMEC) and J.A. Sousa Neto ( FDC and FEAD, Brazil), Classification of Growth Opportunities: Application in Brazil

10:15 – 10:45  Morning Coffee Break

10:45 – 12.00

I. Investment Theory

Chairperson: M. Grasselli (McMaster U., Canada)


M. Grasselli (McMaster U., Canada), Getting Real with Real Options: A Utility-based Method under Incomplete Markets


M. Goto (Waseda U.), R. Takashima (U. of Tokyo), and M. Tsujimura (Ryukoku U., Japan), Capacity Expansion and Contraction with Fixed and Quadratic Adjustment Costs


N. Roys (Sorbonne and University College London), Optimal Investment Policy with Fixed Adjustment Costs and Irreversibility


II. Valuation Theory and Computation

Chairperson: S. Sodal (Agder U., Norway)


R.D. Espinoza (GeoSyntec Consultants) and L.X. Luccioni (Cherokee Investment Partners, UK), Valuation of Projects with Technical Uncertainty and Time to Build


S. Koekebakker and S. Sodal (Agder U., Norway), Real Options with Non-Linear Dynamics

T.L. Friesz, T. Kim, C. Kwon, Y. Moon, and T. Yao (Pennsylvania State U.),
Valuation of Real Options by Gradient Projection

12:10 – 1:00  Panel Discussion IV: Current State, Challenges and Future Prospects

Moderator: Dean Paxson (U. Manchester)


Panelists Include:

Mondher Bellalah (U. Cergy, France)

Marco Dias (PUC-Rio and Petrobras, Brazil)

John Kensinger (U. North Texas)

Harve Roche (ITAM, Mexico)

Sigbjorn Sodal (Agder U., Norway)

Ajay Subramanian (Georgia State University)


1:10 Closing Remarks

Conference Concludes

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